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dc.contributor.authorEngelage, Danielen
dc.date.accessioned2009-09-22-
dc.date.accessioned2010-07-29T10:08:54Z-
dc.date.available2010-07-29T10:08:54Z-
dc.date.issued2009-
dc.identifier.urihttp://hdl.handle.net/10419/37035-
dc.description.abstractWe consider optimal stopping problems in uncertain environments for an agent assessing utility by virtue of dynamic variational preferences or, equivalently, assessing risk by dynamic convex risk measures. The solution is achieved by generalizing the approach in terms of multiple priors introducing the concept of variational supermartingales and an accompanying theory. To illustrate results, we consider prominent examples: dynamic entropic risk measures and a dynamic version of generalized average value at risk.en
dc.language.isoengen
dc.publisher|aUniversity of Bonn, Bonn Graduate School of Economics (BGSE) |cBonnen
dc.relation.ispartofseries|aBonn Econ Discussion Papers |x20/2009en
dc.subject.jelC61en
dc.subject.jelC65en
dc.subject.jelD81en
dc.subject.ddc330en
dc.subject.keywordOptimal Stoppingen
dc.subject.keywordUncertaintyen
dc.subject.keywordDynamic Variational Preferencesen
dc.subject.keywordDynamic Convex Risk Measuresen
dc.subject.keywordDynamic Penaltyen
dc.subject.keywordTime-Consistencyen
dc.subject.keywordEntropic Risken
dc.subject.keywordAverage Value at Risken
dc.subject.stwEntscheidung bei Unsicherheiten
dc.subject.stwSuchtheorieen
dc.subject.stwPräferenztheorieen
dc.subject.stwValue at Risken
dc.subject.stwZeitökonomiken
dc.subject.stwTheorieen
dc.titleOptimal Stopping with Dynamic Variational Preferences-
dc.type|aWorking Paperen
dc.identifier.ppn609243411en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bonedp:202009-

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